Fabián Crocce
Postdoctoral Fellow
fabian.crocceflores^+kaust.edu.sa
Research Interests
- Optimal stopping for diffusions, both one-dimensional and multi-dimensional. Representation of the solution by the Green kernel of the process. I am also interested in optimal stopping problems for jump-processes, and in finite-horizon problems.
- Fourier methods for option pricing and its error analysis. These methods, in the case of Levy process, usually require the computation of a discrete Fourier transform. I am interested in the optimal choose of the discretization, to minimize the error.
- Markov control processes and stochastic games. Algorithms to find optimal strategies for Markov decision processes and competitive Markov decision processes. Algorithms to learn optimal strategies.
Selected Publications
- F. Crocce, J. Happola, J. Kiessling, R. Tempone, Error analysis in Fourier methods for option pricing, Accepted for publication in the Journal of Computational Finance (JCF), Dec. 2015
- F. Crocce, E. Mordecki; Explicitsolutions in one-sided optimal stopping problems for one-dimensional diffusions, 2013.
- F. Crocce, E. Mordecki; A non-iterative algorithm for a turn-based dice game, 2013, submitted.
- F. Crocce, E. Mordecki; A finite exact algorithm to solve a dice game, 2013, submitted.
Education Profile
- 2012: PhD in Mathematics (Universidad de la
República, Uruguay)
- 2010: Computer engineer (Universidad de la
República, Uruguay)
- 2009: Master in Mathematics (Universidad de la
República, Uruguay)
- 2007: Degree in Mathematics (Universidad de la
República, Uruguay)
Scientific and Professional Memberships
- Researcher at PEDECIBA, Uruguay (Basic Science Developing Program).
- Associate researcher at SNI, Uruguay (National System of Researchers).